CreateFloatLeg Example VBNET

VB.NET Example - CreateFloatLeg

' ##################################################################################

' The first function here CreateFloatLeg(), contains a series of

' function calls leading upto the main function call, the second function

' within this file ( CreateFloatLegPart() ).

' which contains the answer that we are looking for.

' The first function here is simply an example of how to construct the parameters

' in order acquire either a string Key (that is to be passed to other functions)

' or a computed result.

' If you are viewing this source code from the chm or web help file you can use the

' outlining features to collapse certain sections of the code for better readability.

' ##################################################################################

Imports System

' Optional using instruction. We will use a mix of utilising fully qualified names (in the case of the financial objects)

' and using the reduced version (in the case of declaring enumerations).

' This is just to demostrate both types of coding.

Imports CTQL ' You need to add a reference to the QuantToolsNET.v2.dll also

' Some global parameter in order to append to user defined keys.

' We use it here to ensure that we have unique Keys (in the case several of our examples

' use the same key-name)

' In normal use, a user defined string will be used and so this variable will be pointless.

Global nCTLegsGlobal As Integer

' Used by function parameters that take an optional range value.

' In Excel we simply omit the value, within the API functions,

' we pass an empty range object

Global oEmptyRange As CTQL.CTRangeData

Public Function VB_EX_CreateFloatLeg() As String

nCTLegsGlobal = nCTLegsGlobal + 1

Dim szErrorMsg As String

Try

' EURO calendar used for holiday adjustments.

Dim MyEuroCal As String

MyEuroCal = _

CALEUROPart()

' UK date calendar used within the UK stock exchange.

Dim MyCALUKExchange As String

MyCALUKExchange = _

CALUKExchangePart()

' Creates a centralized valuation date object.

Dim MyValuationDate As String

MyValuationDate = _

ValueDateObjPart()

' Generates a schedule of start and end dates, given the initial

' start date and unadjusted final end dates.

Dim MySchedule As String

MySchedule = _

MakeSchedulePart( _

MyEuroCal)

' Creates a Deposit template which is almost identical to a Libor

' Index, but without the YieldCurve information.

Dim MyDepoTPL As String

MyDepoTPL = _

CreateDepoTemplatePart( _

MyCALUKExchange, _

MyEuroCal)

' Creates a Swap template which is almost identical to the definition

' of the parameters of a swap contract, but without the swap duration,

' buysell, and YieldCurve information.

Dim MySwapTPL As String

MySwapTPL = _

CreateSwapTemplatePart( _

MyEuroCal, _

MyDepoTPL)

' Creates a SABR curve to model the dynamics of the volatility

' curve (smile).

Dim MySABRVolCurve As String

MySABRVolCurve = _

SABRVolCurvePart( _

MyValuationDate, _

MyDepoTPL, _

MySwapTPL)

' Creates a yield curve using market rates (No cross-currency

' Swaps).

Dim MyYCInterpOnDCF As String

MyYCInterpOnDCF = _

MKTYC_DPart( _

MyValuationDate, _

MyDepoTPL, _

MySwapTPL)

' Creates a new Index code.

Dim MyNewIndex As String

MyNewIndex = _

CreateIndexPart( _

MyCALUKExchange, _

MyEuroCal, _

MyYCInterpOnDCF)

' Creates a market object which is an aggregate of interest rate

' market objects (Discounting curve and Interest rate volatility

' curve (volcurve)).

Dim MyMarket As String

MyMarket = _

CreateMKTPart( _

MyYCInterpOnDCF, _

MySABRVolCurve)

' Creates a floating rate leg.

Dim MyCreateFloatLeg As String

MyCreateFloatLeg = _

CreateFloatLegPart( _

MySchedule, _

MyNewIndex, _

MyMarket)

' This is the result we are looking for.

VB_EX_CreateFloatLeg = MyCreateFloatLeg

Catch e As Exception

szErrorMsg = e.Message

Throw e

Catch e As System.ApplicationException

szData = e.Message

End Try

End Function

' ///////////////////////////////////////////////////////////////////

Private Function CreateFloatLegPart( _

MySchedule As String, _

MyNewIndex As String, _

MyMarket As String) As String

' Create example range for parameter CreateFloatLeg_Notional

Dim CreateFloatLeg_Notional _

As CTQL.CTRangeData

Dim arrBCreateFloatLeg_Notional As Integer() = { _

5000000, _

5000000 _ ' Array Data

}

Dim arrCreateFloatLeg_Notional As CTQL.IntVector = _

New CTQL.IntVector(arrBCreateFloatLeg_Notional)

' Second parameter determines whether the array is a column array (false) or a row array (true)

CreateFloatLeg_Notional = New CTQL.CTRangeData(arrCreateFloatLeg_Notional, False)

' Create example range for parameter CreateFloatLeg_PrincipalPayments

Dim CreateFloatLeg_PrincipalPayments _

As CTQL.CTRangeData

Dim arrBCreateFloatLeg_PrincipalPayments As Integer() = { _

0, _

0 _ ' Array Data

}

Dim arrCreateFloatLeg_PrincipalPayments As CTQL.IntVector = _

New CTQL.IntVector(arrBCreateFloatLeg_PrincipalPayments)

' Second parameter determines whether the array is a column array (false) or a row array (true)

CreateFloatLeg_PrincipalPayments = New CTQL.CTRangeData(arrCreateFloatLeg_PrincipalPayments, False)

' Create example range for parameter CreateFloatLeg_Margin

Dim CreateFloatLeg_Margin _

As CTQL.CTRangeData

Dim arrBCreateFloatLeg_Margin As Double() = { _

0.0002, _

0.0002 _ ' Array Data

}

Dim arrCreateFloatLeg_Margin As CTQL.DoubleVector = _

New CTQL.DoubleVector(arrBCreateFloatLeg_Margin)

' Second parameter determines whether the array is a column array (false) or a row array (true)

CreateFloatLeg_Margin = New CTQL.CTRangeData(arrCreateFloatLeg_Margin, False)

' Key value to use as a handle for the created object

Dim MyCreateFloatLeg As String

MyCreateFloatLeg = "MyCreateFloatLeg" + "_" + CStr(nCTLegsGlobal)

' When creating this object for the first time, set this parameter

' to a positive value.

Dim Reload As Integer

Reload = 1

' Whether you would like to PAY or REC this leg.

Dim PayRec As CTIEnums.PAYRECEnum

PayRec = CTIEnums.PAYRECEnum.PAYREC_REC

' A positive factor value you wish to multiply the Floating-Reset

' Rate/Fixed-Coupon Rate by (Usually 1).

Dim Gearing As Integer

Gearing = 1

' Currency of the Notional amount.

Dim Ccy As CTIEnums.CCYEnum

Ccy = CTIEnums.CCYEnum.CCY_EUR

' Payment Business Day Convention.

Dim BusDayConv As CTIEnums.BDCEnum

BusDayConv = CTIEnums.BDCEnum.BDC_modifiedfollowing

' Payment DayCounter.

Dim DayCount As CTIEnums.DayCountEnum

DayCount = CTIEnums.DayCountEnum.DayCount_actual365_fixed

' Whether you wish to exchange the principal amount(s) at the

' start and termination of the leg contract.

Dim ExchangePrincipal As Boolean

ExchangePrincipal = False

' If a CMS index is specified (within the parameter 'IndexKey')

' and the 'CMSAlgo' parameter within this CMS Index has been set

' to 'Hull' then the correlation between swap rates and fwd rates

' is required.

Dim SMPFWDRho As Double

SMPFWDRho = 0.8

' Excel function call is : "CT.LEG.CreateFloatLeg()"

' Creates a floating rate leg.

Dim rCreateFloatLeg As String

Dim oCTLegs As New CTQL.CTLegs

rCreateFloatLeg = CTQL.CTLegsSA.CreateFloatLeg( _

MyCreateFloatLeg, _

Reload, _

PayRec, _

Gearing, _

CreateFloatLeg_Notional, _

CreateFloatLeg_PrincipalPayments, _

Ccy, _

MySchedule, _

BusDayConv, _

DayCount, _

MyNewIndex, _

CreateFloatLeg_Margin, _

ExchangePrincipal, _

MyMarket, _

SMPFWDRho)

CreateFloatLegPart = rCreateFloatLeg

End Function